A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 10:30, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options |
scientific article |
Statements
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (English)
0 references
20 December 2010
0 references
Lévy processes
0 references
option pricing
0 references
barrier options
0 references
continuous time finance
0 references
credit models
0 references
currency derivatives
0 references
pricing of derivative securities
0 references
quantitative finance
0 references
